The hard way might not have been so hard, though. I think at least some of the MCR1 alleles involved in this are total loss of function alleles. In general for any gene, there are a vast number of different possible mutations that will yield total loss of function, therefore such mutations are pretty abundant. There are countless different changes you can make in any machine that will completely stop the machine from working.

If you want something more precise, like you want MCR1 to change so that it functions precisely 34-38% as intensely, or has its expression go up exactly 2.1 to 2.2-fold after exposure to X amount of radiation in Y wavelength band, there will be only a few possible mutations that can do this. And you would probably have to wait around for quite a while, many generations, if you wanted them to crop up in your own (euro-sapiens) population. That’s the kind of allele that’d be more likely to be nicked from neanderthals (or from erectus if you are an early sapiens in Asia, etc).

There’s a pop-sci article about Neandertal genetic sequencing in Science vol 323 pg 866 (13 Feb 2009.)
A review showing no evidence of introgression: Hodgson & Disotell, Genome Biology, 9, 206 (2008) http://genomebiology.com/2008/9/2/206

(This covers the ‘Ron Weasley’ question: a Neandertal gene for skin/hair colour has been sequenced and translated into protein, and shown to have similar effect to a modern European light skin/blond-red hair gene. Therefore we have evidence Neandertal were pale and blond/red haired. But interestingly, the mutation from the ancestoral form to achieve this in Neandertal is different from the mutation in Europeans. When the (presumably dark) H. sapiens migrated to Europe, they needed such a gene, and nicking it from the Neandertal by a bit of cross breeding would have been the easy way to get it – yet they got it the hard way instead, by independent mutation.)

One of the ’3 years ago’ papers mentioned above, showing evidence of introgression in the microcephalin gene:
Evans et al, PNAS 103 18178 (2006).

My, that’s a cute Neandertal in the Nature news story illustration.

EDIT: Here is the relevant John Hawks post.